Measuring macroeconomic disagreement – A mixed frequency approach

Jeffrey Sheen and Ben Zhe Wang

Journal of Economic Behavior & Organization, 2021, vol. 189, issue C, 547-566

Abstract: We propose a new measure of macroeconomic disagreement, using dispersions of forecasts of a wide range of financial, activity and inflation variables from both household and professional surveys at various frequencies. With a mixed-frequency state-space model, we construct macroeconomic disagreement estimates of the one-year ahead expected state of the economy. Impulse responses show disagreement shocks lead to a contraction in economic activity.

Keywords: Macroeconomic disagreement; Economic uncertainty; Survey data; Mixed frequency; State-space model (search for similar items in EconPapers)
JEL-codes: C81 D80 E50 E66 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167268121002997
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:189:y:2021:i:c:p:547-566

DOI: 10.1016/j.jebo.2021.07.011

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().